Losts of good comments and suggestions so far.
If you have never played a course before, or even if you have but suck at it, start with a few golf pro lessons. You will need to get the basics down before you can adapt them to your style of play. That means proper grip, address, and swing tempo/rythm. Once you know what is supposed to happen, you can adjust so that it happens for you.
You'll need to spend as much time as you can spare rehersing at the driving range what the pro taught you. Obviously, the more time the better. Golf is 90% mental, meaning you have to work at having some things until they become second nature. You will know when you are ready to try an executive course (9/18 par 3's) or public/private course by the way you are hitting the ball. Don't try to hit 400 yard drives or everything will be fubar. Start with a 7-iron, or whatever club the pro suggests for you. Pick a target close to you and practice chipping until you can consistently get the ball close.
One of the more common pitfalls players make is not letting the club do the work for them. Most people try to force either the swing, tempo, or rythm (or combination) resulting in disappointment. <- I'm being polite there.
As soon as you hit the 'right' shot, you will know it. The trick is trying to reproduce it. And that only comes with many many hours of practice at the range and on the course.
Good luck with it, and don't let frustration make ya quit. Golf is a blast.